I may have misunderstood your question. Cancelling a Delay Actions cancels actions that follow it. Cancelling a delay on an individual action only cancels that action. A delay on an individual action has no effect on subsequent actions in the rule. They run immediately. The delay on an individual action sets up a timer for when to run that one action.
This rule, will actually run the actions in reverse order:
On: light 1 after a delay of 20 seconds
On: light 2 after a delay of 10 seconds
On: light 3 after a delay of 5 seconds
Just turn on action logging and you'll see how that works.
